Pricing Supplement No. G70
To the Underlying Supplement dated March 23, 2012,
to the Product Supplement No. G-I dated April 9, 2012,
Prospectus Supplement dated March 23, 2012 and
Prospectus dated March 23, 2012
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Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-180300-03
April 20, 2012
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Financial
Products
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$1,558,000
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Annual Contingent Coupon CS Notes due April 25, 2016
Linked to the Performance of a Weighted Basket of 10 Commodities and Commodity Futures Contracts
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The securities are designed for investors who seek variable annual contingent coupon payments that are linked to the performance of an equally weighted basket of 10 commodities and commodity futures contracts, with the Component Return of each commodity and commodity futures contract on each Valuation Date individually subject to the Fixed Component Percentage and the Component Return Floor. Investors should be willing to forgo any return on their investment beyond the contingent coupon payments on the securities, if any. Any payment on the securities is subject to our ability to pay our obligations as they become due.
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Senior unsecured obligations of Credit Suisse AG, acting through its Nassau Branch, maturing April 25, 2016.†
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Minimum purchase of $1,000. Minimum denominations of $1,000 and integral multiples of $1,000 in excess thereof.
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The securities priced on April 20, 2012 (the “Trade Date”) and are expected to settle on April 26, 2012. Delivery of the securities in book-entry form only will be made through The Depository Trust Company.
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Issuer:
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Credit Suisse AG (“Credit Suisse”), acting through its Nassau Branch
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Basket:
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The securities are linked to an equally weighted basket consisting of 10 commodities and commodity futures contracts (each, a “Basket Component”). Each Basket Component is identified in the table below, together with its Bloomberg ticker symbol, Relevant Exchange, Initial Component Level and Component Weighting:
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Basket Component
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Ticker Symbol
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Exchange
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Initial Component
Level
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Component Weighting
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Corn
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C 1 <Comdty>
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CBOT
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612.50
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1/10
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Cotton
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CT1 <Comdty>
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ICE
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90.04
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1/10
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Sugar #11
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SB1 <Comdty>
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ICE
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21.93
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1/10
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Soybeans
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S 1 <Comdty>
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CBOT
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1446.75
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1/10
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RBOB Gasoline
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XB1 <Comdty>
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NYMEX
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314.27
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1/10
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Nickel
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LONIDY <Comdty>
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LME
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17750.00
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1/10
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Zinc
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LOZSDY <Comdty>
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LME
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1999.50
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1/10
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Brent Crude Oil
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CO1 <Comdty>
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ICE
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118.76
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1/10
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Copper
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LOCADY <Comdty>
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LME
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8120.50
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1/10
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WTI Crude Oil
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CL1 <Comdty>
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NYMEX
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103.88
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1/10
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Redemption Amount:
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At maturity, you will be entitled to receive a Redemption Amount in cash that will equal the principal amount of the securities you hold. Any payment on the securities is subject to our ability to pay our obligations as they become due.
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Contingent Coupon Payment:
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On each Contingent Payment Date (including the Maturity Date), you will be entitled to receive a contingent coupon payment in cash that will equal the principal amount of the securities you hold multiplied by the Basket Return, as calculated below.
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Basket Return:
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The Basket Return on each Valuation Date will be determined as follows:
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Final Basket Level – Initial Basket Level
Initial Basket Level
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; subject to a minimum of zero
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Any payment on the securities is subject to our ability to pay our obligations as they become due.
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Initial Basket Level:
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Set equal to 100 on the Trade Date.
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Final Basket Level:
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On any Valuation Date, the Basket Level on such Valuation Date.
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Basket Level:
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On any Valuation Date, the level of the Basket calculated as follows:
100 × [1 + (the sum of the Component Returns of each Basket Component on such Valuation Date × 1/10)].
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Component Return:
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The Component Return for each Basket Component on each Valuation Date will be determined as follows:
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If the Final Component Level of such Basket Component on such Valuation Date is greater than or equal to its Initial Component Level, then the Component Return for such Basket Component on such Valuation Date is the Fixed Component Percentage.
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If the Final Component Level of such Basket Component on such Valuation Date is less than its Initial Component Level, the Component Return for such Basket Component on such Valuation Date will be calculated as follows:
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Final Component Level – Initial Component Level
Initial Component Level
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; subject to the Component Return Floor
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Price to Public
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Underwriting Discounts and Commissions(1)
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Proceeds to Issuer
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Per security
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$1,000.00
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$19.50
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$980.50
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Total
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$1,558,000.00
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$30,381.00
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$1,527,619.00
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Title of Each Class of Securities Offered
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Maximum Aggregate Offering Price
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Amount of Registration Fee
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Notes
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$1,558,000.00
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$178.55
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Fixed Component Percentage:
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For each Basket Component, 10.0%.
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Component Return Floor:
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For each Basket Component, -20.0%.
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Final Component Level:
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For each Basket Component, on each Valuation Date, the Closing Price of such Basket Component on such Valuation Date.
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Closing Price:
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The “Closing Price” of each Basket Component on any trading day or underlying business day will be:
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· For “Corn,” the official U.S. dollar settlement price (expressed in cents per bushel) for the first nearby month futures contract for #2 Yellow Corn, quoted by the CBOT (Bloomberg Ticker: “C 1 <Comdty>”), provided that if such date falls within the notice period for delivery of corn under such futures contract or on the last trading day of such futures contract (all pursuant to the rules of the CBOT), then the second nearby month futures contract (Bloomberg Ticker: “C 2 <Comdty>”) on such trading day.
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· For “Cotton,” the official U.S. dollar settlement price (expressed in cents per pound) for the first nearby month futures contract for Cotton No. 2, quoted by ICE Futures U.S. (Bloomberg Ticker: “CT1 <Comdty>”), provided that if such date falls within the notice period for delivery of cotton under such futures contract or on the last trading day of such futures contract (all pursuant to the rules of ICE Futures U.S.), then the second nearby month futures contract (Bloomberg Ticker: “CT2 <Comdty>”) on such trading day.
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· For “Sugar #11,” the official U.S. dollar settlement price (expressed in cents per pound) for the first nearby month futures contract for deliverable grade cane sugar, quoted by ICE Futures U.S. (Bloomberg Ticker: “SB1 <Comdty>”).
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· For “Soybeans,” the official U.S. dollar settlement price (expressed in cents per bushel) for the first nearby month futures contract for deliverable grade Soybeans as quoted by the CBOT (Bloomberg Ticker: “S 1 <Comdty>”), provided that if such date falls within the notice period for delivery of Soybeans under such futures contract or on the last trading day of such futures contract (all pursuant to the rules of the CBOT) then the second nearby month futures contract (Bloomberg Ticker: “S 2 <Comdty>”) on such trading day.
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· For “RBOB Gasoline,” The official U.S. dollar cash settlement price (expressed in cents per gallon) of the first nearby non-oxygenated blendstock gasoline futures contract, quoted by NYMEX (Bloomberg Ticker: “XB1 <Comdty”>).
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· For “Nickel,” the official U.S. dollar cash settlement price (expressed in dollars per metric ton) quoted by the LME (Bloomberg Ticker: “LONIDY <Comdty>”). The official U.S. dollar cash settlement price of Nickel is determined by reference to the LME’s “Primary Nickel Contract.”
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· For “Zinc,” the official U.S. dollar cash settlement price (expressed in dollars per metric ton) quoted by the LME (Bloomberg Ticker: “LOZSDY<Comdty>”). The official U.S. dollar cash settlement price of Zinc is determined by reference to the LME’s “Special High Grade Zinc Contract.”
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· For “Brent Crude Oil,” The official U.S. dollar cash settlement price (expressed in dollars per barrel) for Brent Crude of the futures contract in respect of the first nearby month quoted by ICE Futures Europe and displayed on Bloomberg under the symbol “CO1 <Comdty>,” provided that if such date falls on the last trading day of such futures contract (all pursuant to the rules of ICE Futures Europe), then the second nearby month futures contract (Bloomberg Ticker: “CO2 <Comdty>”) on such trading day.
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· For “Copper,” the official U.S. dollar cash settlement price (expressed in dollars per metric ton) quoted by the LME (Bloomberg Ticker: “LOCADY <Comdty>”). The official U.S. dollar cash settlement price of Copper is determined by reference to the LME’s “Copper—Grade A Contract.”
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· For “WTI Crude Oil,” the official U.S. dollar cash settlement price (expressed in dollars per barrel) of the first nearby month WTI light sweet crude oil futures contract, quoted by NYMEX (Bloomberg Ticker: “CL1 <Comdty>”).
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Valuation Dates:†
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April 22, 2013, April 22, 2014, April 22, 2015 and April 20, 2016 (the “Final Valuation Date”).
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Contingent Payment Dates:†
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April 25, 2013, April 25, 2014, April 27, 2015 and the Maturity Date.
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Maturity Date:†
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April 25, 2016
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Listing:
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The securities will not be listed on any securities exchange.
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CUSIP:
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22546TRE3
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Underlying Supplement dated March 23, 2012
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Product supplement No. G-I dated April 9, 2012:
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Prospectus supplement dated March 23, 2012 and Prospectus dated March 23, 2012:
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Basket
Component
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Initial Component
Level
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Final Component
Level
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Percentage Change
in Level of the
Basket Component
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Component
Return
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Component
Weighting
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Corn
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635.00
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762.00
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20.0%
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10.0%
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1/10
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Cotton
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90.00
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108.00
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20.0%
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10.0%
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1/10
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Sugar #11
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22.00
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26.40
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20.0%
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10.0%
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1/10
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Soybeans
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1430.00
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1716.00
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20.0%
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10.0%
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1/10
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RBOB Gasoline
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325.00
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390.00
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20.0%
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10.0%
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1/10
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Nickel
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18010.00
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21612.00
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20.0%
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10.0%
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1/10
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Zinc
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2000.00
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2400.00
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20.0%
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10.0%
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1/10
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Brent Crude Oil
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120.00
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144.00
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20.0%
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10.0%
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1/10
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Copper
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8260.00
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9912.00
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20.0%
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10.0%
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1/10
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WTI Crude Oil
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100.00
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120.00
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20.0%
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10.0%
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1/10
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Final Basket Level
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=
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100 × [1 + (the sum of the Component Returns of each Basket Component on the relevant Valuation Date × 1/10)]
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Final Basket Level
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=
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100 × [1 + (100% × 1/10)]
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Final Basket Level
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=
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100 × 1.10
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Final Basket Level
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=
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110.00
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Basket
Component
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Initial Component
Level
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Final Component
Level
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Percentage Change
in Level of the
Basket Component
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Component
Return
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Component
Weighting
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Corn
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635.00
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666.75
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5.0%
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10.0%
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1/10
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Cotton
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90.00
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94.50
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5.0%
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10.0%
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1/10
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Sugar #11
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22.00
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23.10
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5.0%
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10.0%
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1/10
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Soybeans
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1430.00
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1501.50
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5.0%
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10.0%
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1/10
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RBOB Gasoline
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325.00
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341.25
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5.0%
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10.0%
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1/10
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Nickel
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18010.00
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18910.50
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5.0%
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10.0%
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1/10
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Zinc
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2000.00
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2000.00
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0.0%
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10.0%
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1/10
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Brent Crude Oil
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120.00
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120.00
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0.0%
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10.0%
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1/10
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Copper
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8260.00
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7434.00
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−10.0%
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−10.0%
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1/10
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WTI Crude Oil
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100.00
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90.00
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−10.0%
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−10.0%
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1/10
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Final Basket Level
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=
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100 × [1 + (the sum of the Component Returns of each Basket Component on the relevant Valuation Date × 1/10)]
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Final Basket Level
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=
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100 × [1 + (60% × 1/10)]
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Final Basket Level
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=
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100 × 1.06
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Final Basket Level
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=
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106.00
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Basket
Component
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Initial Component
Level
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Final Component
Level
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Percentage Change
in Level of the
Basket Component
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Component
Return
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Component
Weighting
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Corn
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635.00
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762.00
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20.0%
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10.0%
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1/10
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Cotton
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90.00
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108.00
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20.0%
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10.0%
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1/10
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Sugar #11
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22.00
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26.40
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20.0%
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10.0%
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1/10
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Soybeans
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1430.00
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1716.00
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20.0%
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10.0%
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1/10
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RBOB Gasoline
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325.00
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390.00
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20.0%
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10.0%
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1/10
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Nickel
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18010.00
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16209.00
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−10.0%
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−10.0%
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1/10
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Zinc
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2000.00
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1800.00
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−10.0%
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−10.0%
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1/10
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Brent Crude Oil
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120.00
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108.00
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−10.0%
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−10.0%
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1/10
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Copper
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8260.00
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7434.00
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−10.0%
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−10.0%
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1/10
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WTI Crude Oil
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100.00
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90.00
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−10.0%
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−10.0%
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1/10
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Final Basket Level
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=
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100 × [1 + (the sum of the Component Returns of each Basket Component on the relevant Valuation Date × 1/10)]
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Final Basket Level
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=
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100 × [1 + (0.0% × 1/10)]
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Final Basket Level
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=
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100 × 1.000
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Final Basket Level
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=
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100.0
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Basket
Component
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Initial Component
Level
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Final Component
Level
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Percentage Change
in Level of the
Basket Component
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Component
Return
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Component
Weighting
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Corn
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635.00
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412.75
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−35.0%
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−20.0%
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1/10
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Cotton
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90.00
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58.50
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−35.0%
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−20.0%
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1/10
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Sugar #11
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22.00
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14.30
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−35.0%
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−20.0%
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1/10
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Soybeans
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1430.00
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929.50
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−35.0%
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−20.0%
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1/10
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RBOB Gasoline
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325.00
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211.25
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−35.0%
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−20.0%
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1/10
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Nickel
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18010.00
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11706.50
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−35.0%
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−20.0%
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1/10
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Zinc
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2000.00
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1300.00
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−35.0%
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−20.0%
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1/10
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Brent Crude Oil
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120.00
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78.00
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−35.0%
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−20.0%
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1/10
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Copper
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8260.00
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5369.00
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−35.0%
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−20.0%
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1/10
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WTI Crude Oil
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100.00
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65.00
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−35.0%
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−20.0%
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1/10
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Final Basket Level
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=
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100 × [1 + (the sum of the Component Returns of each Basket Component on the relevant Valuation Date × 1/10)]
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Final Basket Level
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=
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100 × [1 + (−200.0% × 1/10)]
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Final Basket Level
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=
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100 × 0.80
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Final Basket Level
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=
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80
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THE SECURITIES MAY NOT PAY INTEREST — You may receive less during the term of the securities and at maturity than you could have earned on ordinary interest-bearing debt securities with similar maturities, including other of our debt securities, since each Contingent Coupon Payment, if any, is based on the weighted performance of the Basket Components as of the applicable Valuation Date. If the Final Basket Level on any Valuation Date is less than the Initial Basket Level, you will not receive any Contingent Coupon Payment on the corresponding Contingent Payment Date. The return on the securities, if any, may not be enough to compensate you for any loss in value due to inflation and other factors relating to the value of money over time. Any payment on the securities is subject to our ability to pay our obligations as they become due.
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THE FINAL BASKET LEVEL MAY BE BELOW THE INITIAL BASKET LEVEL ON ANY OR ALL OF THE VALUATION DATES AND THE INITIAL BASKET LEVEL IS NOT RESET ON ANY VALUATION DATE — The Initial Basket Level is set to 100 on the Trade Date and will not be reset on any Valuation Date. Therefore, if the Final Basket Level is less than the Initial Basket Level on every Valuation Date, you will not be entitled any Contingent Coupon Payment. Each Contingent Coupon Payment is determined by reference to the Final Basket Level on the applicable Valuation Date and in comparison to the Initial Basket Level.
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THE SECURITIES ARE SUBJECT TO THE CREDIT RISK OF CREDIT SUISSE — Although the return on the securities will be based on the performance of the Basket, the payment of any amount due on the securities, including any applicable Contingent Coupon Payment and payment at maturity, is subject to the credit risk of Credit Suisse. Investors are dependent on our ability to pay all amounts due on the securities, and therefore, investors are subject to our credit risk. In addition, any decline in our credit ratings, any adverse changes in the market’s view of our creditworthiness or any increase in our credit spreads is likely to adversely affect the value of the securities prior to maturity.
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CAPPED APPRECIATION POTENTIAL — On each Valuation Date, each Basket Component is individually subject to the Fixed Component Percentage with respect to any positive returns and the Component Return Floor with respect to any negative returns. On each Valuation Date, the Basket Return will equal, subject to a minimum of zero, the combined weighted performance of the Basket Components from the Trade Date to the relevant Valuation Date and thus cannot exceed the Fixed Component Percentage of 10.0%, regardless of the appreciation of the Basket Components, which may be significant. Accordingly, the maximum payment on each Contingent Payment Date will not exceed $100.00 per $1,000 principal amount of securities. Assuming the securities are held to maturity, the maximum amount payable with respect to the securities, including the Redemption Amount, will not exceed $1,400.00 for each $1,000 principal amount of securities.
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CHANGES IN THE VALUES OF THE BASKET COMPONENTS MAY OFFSET EACH OTHER —Movements in the prices of the Basket Components may not correlate with each other. At a time when the price of one or more of the Basket Components increases, the prices of the other Basket Components may not increase as much or may even decline. Therefore, in calculating the Basket Return for any Valuation Date, a positive Component Return for one or more of the Basket Components may be moderated, or more than offset, by a decline in the price of another Basket Component. In addition, participation in any increase in the price of a Basket Component is limited by the Fixed Component Percentage. There can be no assurance that you will receive a Contingent Coupon Payment on any Contingent Payment Date.
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THERE ARE RISKS ASSOCIATED WITH AN INVESTMENT LINKED TO THE PRICES OF COMMODITIES GENERALLY — The market prices of the Basket Components can be highly volatile. Commodity market prices are not related to the value of a future income or earnings stream, as tends to be the case with fixed-income and equity investments, but may be subject to rapid fluctuations based on numerous factors, including changes in supply and demand relationships, governmental programs and policies, national and international monetary, trade, political and economic events, changes in interest and exchange rates, speculation and trading activities in commodities and related contracts, weather, and agricultural, trade, fiscal and exchange control policies. Many commodities are also highly cyclical. These factors may have a larger impact on commodity prices and commodity-linked instruments than on instruments linked to traditional fixed-income and equity securities and may create additional investment risks that cause the value of the securities to be more volatile than the values of traditional securities. These and other factors may affect the prices of the Basket Components, and thus the value of the securities, in unpredictable or unanticipated ways. The potential for high volatility and the cyclical nature of commodity markets may render an investment in securities linked to a commodity inappropriate as the focus of an investment portfolio.
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THERE ARE RISKS ASSOCIATED WITH AN INVESTMENT LINKED TO THE PRICE OF CORN — The price of corn is primarily affected by the global demand for, and supply of, corn. The demand for corn is in part linked to the development of industrial and energy uses for corn. This includes the use of corn in the production of ethanol. The demand for corn is also affected by the production and profitability of the pork and poultry sectors, which use corn for feed. Negative developments in those industries may lessen the demand for corn. For example, if avian flu were to have a negative effect on world poultry markets, the demand for corn might decrease. The supply of corn is dependent on many factors including weather patterns, government regulation, the price of fuel and fertilizers and the current and previous price of corn. The United States is the world’s largest supplier of corn, followed by China and Brazil. The supply of corn is particularly sensitive to weather patterns in the United States and China. In addition, technological advances could lead to increases in worldwide production of corn and corresponding decreases in the price of corn.
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•
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THERE ARE RISKS ASSOCIATED WITH AN INVESTMENT LINKED TO THE PRICE OF COTTON — The price of cotton is primarily affected by the global demand for and supply of cotton, but is also significantly influenced by speculative actions and by currency exchange rates. In addition, the price of cotton is affected by governmental programs and policies regarding agriculture, including cotton, specifically, and trade, fiscal and monetary issues, more generally. Extrinsic factors also affect cotton prices such as weather, crop yields, natural disasters, technological developments, wars and political and civil upheavals. Demand for cotton has generally increased with worldwide growth and prosperity.
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•
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THERE ARE RISKS ASSOCIATED WITH AN INVESTMENT LINKED TO THE PRICE OF SUGAR — Global prices for sugar are primarily affected by the global demand for and supply of sugar, but are also significantly influenced by governmental policy and international trade agreements, by speculative actions and by currency exchange rates. Sugar is used primarily as a human food sweetener, but is also used in the production of fuel ethanol. Global demand for sugar is influenced by level of human consumption of sweetened food-stuffs and beverages and to a lesser extent, by the level of demand for sugar as the basis for fuel ethanol. The world export supply of sugar is dominated by the European Union, Brazil, Guatemala, Cuba, Thailand and Australia, while other countries, including India, the United States, Canada and Russia produce significant amounts of sugar for domestic consumption. Governmental programs and policies regarding agriculture and energy, specifically, and trade, fiscal and monetary issues, more generally, in these countries and at a multinational level could affect the supply and price of sugar. Extrinsic factors also affect sugar prices such as weather, disease and natural disasters.
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THERE ARE RISKS ASSOCIATED WITH AN INVESTMENT LINKED TO THE PRICE OF SOYBEANS — The price of soybeans is primarily affected by the global demand for and supply of soybeans, but is also influenced significantly from time to time by speculative actions and by currency exchange rates. Demand for soybeans is in part linked to the development of agricultural, industrial and energy uses for soybeans. This includes the use of soybeans for the production of animal feed, vegetable oil, edible soybean oil and biodiesel, all of which may have a major impact on worldwide
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THERE ARE RISKS ASSOCIATED WITH AN INVESTMENT LINKED TO THE PRICE OF NICKEL — The price of nickel is primarily affected by the global demand for and supply of nickel, but is also influenced from time to time by speculative actions and by currency exchange rates. Demand for nickel is significantly influenced by the level of global industrial economic activity. The stainless steel industrial sector is particularly important to demand for nickel given that the use of nickel in the manufacture of stainless steel accounts for a significant percentage of world-wide nickel demand. Growth in the production of stainless steel will therefore drive nickel demand. An additional, but highly volatile, component of demand is adjustments to inventory in response to changes in economic activity and/or pricing levels. There are substitutes for nickel in various applications. Their availability and price will also affect demand for nickel. Nickel supply is dominated by Canada and the Commonwealth of Independent States (the “CIS”). Exports from the CIS have increased in recent years. The supply of nickel is also affected by current and previous price levels, which will influence investment decisions in new mines and smelters. It is not possible to predict the aggregate effect of all or any combination of these factors.
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THERE ARE RISKS ASSOCIATED WITH AN INVESTMENT LINKED TO THE PRICE OF ZINC — The price of zinc is primarily affected by the global demand for and supply of zinc, but is also influenced significantly from time to time by speculative actions and by currency exchange rates. Demand for zinc is significantly influenced by the level of global industrial economic activity. The galvanized steel industrial sector is particularly important to demand for zinc given that the use of zinc in the manufacture of galvanized steel accounts for a significant percentage of world-wide zinc demand. The galvanized steel sector is in turn heavily dependent on the automobile and construction sectors. Growth in the production of galvanized steel will drive zinc demand. An additional, but highly volatile, component of demand is adjustments to inventory in response to changes in economic activity and/or pricing levels. The supply of zinc concentrate (the raw material) is dominated by Australia, North America and Latin America. The supply of zinc is also affected by current and previous price levels, which will influence investment decisions in new mines and smelters. Low prices for zinc in the early 1990s tended to discourage such investments. It is not possible to predict the aggregate effect of all or any combination of these factors.
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THERE ARE RISKS ASSOCIATED WITH AN INVESTMENT LINKED TO THE PRICE OF BRENT CRUDE, WTI CRUDE AND RBOB GASOLINE — The prices of IPE Brent blend crude oil and WTI crude oil are primarily affected by the global demand for and supply of crude oil, but is also influenced significantly from time to time by speculative actions and by currency exchange rates. Crude oil prices are generally more volatile and subject to dislocation than prices of other commodities. Demand for refined petroleum products by consumers, as well as the agricultural, manufacturing and transportation industries, affects the price of crude oil. Crude oil’s end-use as a refined product is often as transport fuel, industrial fuel and in-home heating fuel. Potential for substitution in most areas exists, although considerations including relative cost often limit substitution levels. Because the precursors of demand for petroleum products are linked to economic activity, demand will tend to reflect economic conditions. Demand is also influenced by government regulations, such as environmental or consumption policies. In addition to general economic activity and demand, prices for crude oil are affected by political events, labor activity and, in particular, direct government intervention (such as embargos) or supply disruptions in major oil producing regions of the world. Such events tend to affect oil prices worldwide, regardless of the location of the event. Supply for crude oil may increase or decrease depending on many factors. These include production decisions by the Organization of the Petroleum Exporting Countries (“OPEC”) and other crude oil producers. Crude oil prices are determined with significant influence by OPEC. OPEC has the potential to
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Furthermore, the level of global industrial activity influences the demand for non-oxygenated gasoline. In addition, the demand has seasonal variations, which occur during “driving seasons” usually considered the summer months in North America and Europe. Non-oxygenated gasoline is derived from crude oil and as such, any factors that influence the supply of Brent crude and WTI crude oil may also influence the supply of non-oxygenated gasoline.
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THERE ARE RISKS ASSOCIATED WITH AN INVESTMENT LINKED TO THE PRICE OF COPPER — The price of copper is primarily affected by the global demand for and supply of copper, but is also influenced significantly from time to time by speculative actions and by currency exchange rates. Demand for copper is significantly influenced by the level of global industrial economic activity. Industrial sectors which are particularly important to demand for copper include the electrical and construction sectors. In recent years, demand has been supported by strong consumption from newly industrializing countries due to their copper-intensive economic growth and industrial development. An additional, but highly volatile, component of demand is adjustments to inventory in response to changes in economic activity and/or pricing levels. There are substitutes for copper in various applications. Their availability and price will also affect demand for copper. Apart from the United States, Canada and Australia, the majority of copper concentrate supply (the raw material) comes from outside the Organization for Economic Cooperation and Development countries. The supply of copper is also affected by current and previous price levels, which will influence investment decisions in new smelters. In previous years, copper supply has been affected by strikes, financial problems and terrorist activity. It is not possible to predict the aggregate effect of all or any combination of these factors.
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CERTAIN BUILT-IN COSTS ARE LIKELY TO ADVERSELY AFFECT THE VALUE OF THE SECURITIES PRIOR TO MATURITY — While the payment at maturity described in this pricing supplement is based on the full principal amount of your securities, the original issue price of the securities includes the agent’s commission and the cost of hedging our obligations under the securities through one or more of our affiliates. As a result, the price, if any, at which Credit Suisse (or its affiliates), will be willing to purchase securities from you in secondary market transactions, if at all, will likely be lower than the original issue price, and any sale prior to the Maturity Date could result in a substantial loss to you. The securities are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your securities to maturity.
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OWNING THE SECURITIES IS NOT THE SAME AS DIRECTLY OWNING THE BASKET COMPONENTS OR CERTAIN OTHER COMMODITY-RELATED CONTRACTS — The return on your securities will not reflect the return you would realize if you actually purchased one or more of the Basket Components or exchange-traded or over-the-counter instruments based on one or more of the Basket Components. You will not have any rights that holders of such assets or instruments have.
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LACK OF LIQUIDITY — The securities will not be listed on any securities exchange. Credit Suisse (or its affiliates) intends to offer to purchase the securities in the secondary market but is not required to do so. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the securities when you wish to do so. Because other dealers are not likely to make a secondary market for the securities, the price at which you may be able to trade your securities is likely to depend on the price, if any, at which Credit Suisse (or its affiliates) is willing to buy the securities. If you have to sell your securities prior to maturity, you may not be able to do so or you may have to sell them at a substantial loss.
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POTENTIAL CONFLICTS — We and our affiliates play a variety of roles in connection with the issuance of the securities, including acting as calculation agent and hedging our obligations under the securities. In performing these duties, the economic interests of the calculation agent and other affiliates of ours are potentially adverse to your interests as an investor in the securities. In addition, we and/or our affiliates may also currently or from time to time engage in business with any of the Basket Component issuers, including extending loans to, or making equity investments in, such Basket Component issuer(s) or providing advisory services to such Basket Component issuer(s). In addition, one or more of our affiliates may publish research reports or otherwise express opinions with respect to the Basket Component issuers and these reports may or may not recommend that investors buy or hold the Basket Component(s). As a prospective purchaser of the securities, you should undertake an independent investigation of the Basket Component issuers that in your judgment is appropriate to make an informed decision with respect to an investment in the securities.
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MANY ECONOMIC AND MARKET FACTORS WILL AFFECT THE VALUE OF THE SECURITIES — In addition to the level of the Basket on any day, the value of the securities will be affected by a number of economic and market factors that may either offset or magnify each other, including:
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o
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the expected volatility of the Basket Components;
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o
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the time to maturity of the securities;
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o
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interest and yield rates in the market generally;
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o
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investors’ expectations with respect to the rate of inflation;
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o
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geopolitical conditions and a variety of economic, financial, political, regulatory or judicial events that affect the Basket Components or markets generally and which may affect the prices of the Basket Components; and
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o
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our creditworthiness, including actual or anticipated downgrades in our credit ratings.
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a financial institution,
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a mutual fund,
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a tax-exempt organization,
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a grantor trust,
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certain U.S. expatriates,
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an insurance company,
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a dealer or trader in securities or foreign currencies,
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a person (including traders in securities) using a mark-to-market method of accounting,
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a person who holds securities as a hedge or as part of a straddle with another position, constructive sale, conversion transaction or other integrated transaction, or
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·
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an entity that is treated as a partnership for U.S. federal income tax purposes.
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require you, regardless of your usual method of tax accounting, to use the accrual method with respect to the securities;
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require you to accrue original issue discount at the comparable yield (as described below); and
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generally result in ordinary rather than capital treatment of any gain and to some extent loss, on the sale, exchange, repurchase, or redemption of the securities.
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the product of (i) the adjusted issue price (as defined below) of the securities as of the beginning of the accrual period and (ii) the comparable yield to maturity (as defined below) of the securities, adjusted for the length of the accrual period;
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divided by the number of days in the accrual period; and
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multiplied by the number of days during the accrual period that you held the securities.
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first, reduce the amount of original issue discount required to be accrued in the current year;
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second, any negative adjustment that exceeds the amount of original issue discount accrued in the current year will be treated as ordinary loss to the extent of your total prior original issue discount inclusions with respect to the securities; and
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third, any excess negative adjustment will reduce the amount realized on a sale, exchange, or redemption of the securities.
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Date
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Payments
|
Interest
Accrual
|
Adjusted
Issue Price
|
Daily
Accrual
|
30-Jun-12
|
0.00
|
2,517.45
|
1,560,517.45
|
39.34
|
31-Dec-12
|
0.00
|
7,091.77
|
1,567,609.22
|
39.40
|
30-Jun-13
|
0.00
|
7,124.00
|
1,574,733.22
|
39.58
|
31-Dec-13
|
0.00
|
7,156.38
|
1,581,889.60
|
39.76
|
30-Jun-14
|
0.00
|
7,188.90
|
1,589,078.50
|
39.94
|
31-Dec-14
|
0.00
|
7,221.57
|
1,596,300.06
|
40.12
|
30-Jun-15
|
0.00
|
7,254.39
|
1,603,554.45
|
40.30
|
31-Dec-15
|
0.00
|
7,287.35
|
1,610,841.80
|
40.49
|
25-Apr-16
|
0.00
|
4,676.97
|
1,615,518.77
|
40.67
|
Projected Amount Payable at Retirement
|
1,615,518.77
|
Date
|
Payments
|
Interest
Accrual
|
Adjusted
Issue Price
|
Daily
Accrual
|
30-Jun-12
|
0.00
|
1.62
|
1,001.62
|
0.0252
|
31-Dec-12
|
0.00
|
4.55
|
1,006.17
|
0.0253
|
30-Jun-13
|
0.00
|
4.57
|
1,010.74
|
0.0254
|
31-Dec-13
|
0.00
|
4.59
|
1,015.33
|
0.0255
|
30-Jun-14
|
0.00
|
4.61
|
1,019.95
|
0.0256
|
31-Dec-14
|
0.00
|
4.64
|
1,024.58
|
0.0258
|
30-Jun-15
|
0.00
|
4.66
|
1,029.24
|
0.0259
|
31-Dec-15
|
0.00
|
4.68
|
1,033.92
|
0.0260
|
25-Apr-16
|
0.00
|
3.00
|
1,036.92
|
0.0261
|
Projected Amount Payable at Retirement
|
1,036.92
|
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